📊 Backtest Report
Summary
================================================================================
BACKTEST SUMMARY REPORT
================================================================================
CAPITAL PERFORMANCE
-------------------
Initial Capital: $10,000.00
Final Capital: $9,937.77
Net P&L: $-62.23
Total Return: -0.62%
TRADE STATISTICS
----------------
Total Trades: 361
Winning Trades: 47
Losing Trades: 314
Win Rate: 13.02%
Gross Profit: $4.46
Gross Loss: $66.69
Average Win: $0.09
Average Loss: $0.21
RISK METRICS
------------
Profit Factor: 0.07
Expectancy: $-0.17
Avg Risk/Reward: 0.45
Sharpe Ratio: -11.76
Sortino Ratio: -0.12
Omega Ratio: 0.29
Calmar Ratio: -0.97
DRAWDOWN ANALYSIS
-----------------
Maximum Drawdown: -0.64%
Recovery Factor: -0.97
Ulcer Index: 0.29
EXECUTION QUALITY
-----------------
Average MAE: -0.04%
Average MFE: 0.04%
Total Commission: $9.08
Total Slippage: $22.70
ADVANCED METRICS
----------------
Kelly Criterion: 0.00%
Tail Ratio: 0.00
Max Consecutive Wins: 5
Max Consecutive Losses: 221
================================================================================
Performance Metrics
| Metric |
Value |
| Initial Capital |
$10,000.00 |
| Final Capital |
$9,937.77 |
| Net P&L |
$-62.23 |
| Return % |
-0.62% |
| Total Trades |
361 |
| Winning Trades |
47 |
| Losing Trades |
314 |
| Win Rate |
13.02% |
| Profit Factor |
0.07 |
| Sharpe Ratio |
-11.76 |
| Max Drawdown |
-0.64% |
| Recovery Factor |
-0.97 |
| Calmar Ratio |
-0.97 |
| Average Win |
$0.09 |
| Average Loss |
$0.21 |
| Expectancy |
$-0.17 |
| Avg Risk/Reward |
0.45 |
| Avg MAE |
-0.04% |
| Avg MFE |
0.04% |
| Sortino Ratio |
-0.12 |
| Omega Ratio |
0.29 |
| Kelly Criterion |
0.00% |
| Max Consecutive Wins |
5 |
| Max Consecutive Losses |
221 |
Visual Analysis